The "Wipeout Scenario": 250% Losses If VIX Spikes To 20

if VIX goes from 9.60 to 18/20 in absolute values (it was approx. 40 as recently as Aug2015), and stays there for 8 / 10 days in backwardation, VIX-based ETFs may stand to lose up to 55%. Short positions on long-vol ETFs can then lose up to 250% of capital with VIX at 20.

RBC Warns Of Looming "Cocktail For Fall Volatility"

"This combination of ‘interest rate vol’ events could drive another bout of ‘taper tantrum’ into the late Summer liquidity doldrums and fresh off of the ‘synthetic tranquility’ of US equity earnings season - a cocktail for Fall Vol on the resumption of ‘policy convergence’ and ‘tightening into slowing backdrop’ fears..."

Treasury Volatility Crashes To Record Lows

Another day, another record low for volatility gauges, with Bank of America’s MOVE Index (considered Treasury Market 'VIX') falling to an unprecedented 48.26.

Why Wage Growth Will Remain Elusive

"Even if we rebuild factories here and you build plants here, they’re just not going to employ thousands of people — that just doesn’t happen.  Find a factory anywhere in the world built in the last 5 years - not many people work there.”

Is The Real Dollar Pain-Trade Lower?

Trump’s inauguration proved to be the top, and it has been nothing but downhill since then. I am actually quite mad at myself, fading this consensus trade proved to be one of the greatest trades of 2017. Yet the interesting part of this extended move? No one is getting excited about it...

Sessions: "I Will Continue Serving As Attorney General As Long As That Is Appropriate"

Following his scathing NYT interview published on Wednesday, in which Trump said he regretted appointing the Attorney General, and said would not have chosen Sessions to serve as attorney general had known Sessions would recuse himself from the investigation into Russian election meddling, on Thursday AG Sessions said he plans to continue to serve in his post "as long as that is appropriate."

BIll Gross: Beware The "Unknown Consequences Lurking In The Shadows"

"the adherence of Yellen, Bernanke, Draghi, and Kuroda, among others, to standard historical models such as the Taylor Rule and the Phillips curve has distorted capitalism as we once knew it, with unknown consequences lurking in the shadows of future years."

One Trader Warns - Next Week's FOMC Meeting May Not Be As "Benign" As The Market Believes

If ever there was a chance for The Fed to 'sneak' in a rate-hike while everyone is distracted, it's next Wednesday as Trump Jr testifies to Congress. As former FX trader Richard Breslow remarks, The Fed "woulda, coulda, shoulda [hike] next week... but certainly won't," noting that if they are truly concerned about the "stretched valuations" taking an extended vacation through the summer is the worst thing The Fed can do...

Philly Fed Slumps From 33-Year Highs To November Lows As New Orders Plunge

Another day, another 'soft' data point disappointments and heads towards it 'hard' data reality. This time is the turn of the Philly Fed survey, which missed expectations and dropped to 19.5 - its lowest since Nov 2016. New Orders collapsed, employees tumbled, and average workweek slumped... but hope rose very modestly for business activity 6-months ahead.